Feeding two equations in Garch - Bekk
Posted: Sat Sep 01, 2012 11:12 am
Dear All
I am trying to implement a paper on bilateral trade flows to exchange rate uncertainty. The paper uses bivariate garch - BEKK model to calculate conditional variances. However, there are three equations given in the paper that are used to estimate the variances. I have never performed Garch modelling before. Through my search on internet, I realised that Eviews is the best software to perform this analysis. Can anyone please guide me where and how should I feed these equations while performing the analysis. I studied so much but dont understand what to do with the equations. I am attaching a picture of the equations with variables description in paragraph.
I was also feeling is there any chance that equation 1 is analysed separately and then equation 2 is analysed or both equations are fed at the same time. Please help me as I am totally lost.
Regards
I am trying to implement a paper on bilateral trade flows to exchange rate uncertainty. The paper uses bivariate garch - BEKK model to calculate conditional variances. However, there are three equations given in the paper that are used to estimate the variances. I have never performed Garch modelling before. Through my search on internet, I realised that Eviews is the best software to perform this analysis. Can anyone please guide me where and how should I feed these equations while performing the analysis. I studied so much but dont understand what to do with the equations. I am attaching a picture of the equations with variables description in paragraph.
I was also feeling is there any chance that equation 1 is analysed separately and then equation 2 is analysed or both equations are fed at the same time. Please help me as I am totally lost.
Regards